Valentyn Panchenko

UNSW Business School, Economics, University of New South Wales

SCHOLARLY PAPERS

14

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1,540

SSRN CITATIONS
Rank 31,274

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Top 31,274

in Total Papers Citations

31

CROSSREF CITATIONS

5

Scholarly Papers (14)

1.

How Common Is the Common-Ratio Effect?

Number of pages: 24 Posted: 28 Jul 2020 Last Revised: 13 Oct 2021
P Blavatskyy, Andreas Ortmann and Valentyn Panchenko
Montpellier Business School, UNSW Australia Business School, School of Economics and UNSW Business School, Economics, University of New South Wales
Downloads 234 (246,999)

Abstract:

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Decision Under Risk, Experimental Practices, Common Ratio Effect, Expected Utility Theory, Fanning-out

2.

Out-of-Sample Comparison of Copula Specifications in Multivariate Density Forecasts

Journal of Economic Dynamics and Control, Vol. 34, No. 9, 2010, UNSW Australian School of Business Research Paper No. 2008 ECON 23, Tinbergen Institute Discussion Paper No. 08-105/4
Number of pages: 27 Posted: 04 Nov 2008 Last Revised: 20 Jun 2011
Cees G. H. Diks, Valentyn Panchenko and Dick J. C. van Dijk
University of Amsterdam - Faculty of Economics and Business (FEB), UNSW Business School, Economics, University of New South Wales and Erasmus University Rotterdam - Erasmus School of Economics - Econometric Institute
Downloads 193 (295,309)
Citation 4

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Copula-based density forecast, semiparametric statistics, out-of-sample forecast evaluation, Kullback-Leibler Information Criterion, empirical copula

3.

A Model of Network Formation for the Overnight Interbank Market

CIFR Paper No. 103/2016
Number of pages: 49 Posted: 17 Apr 2016 Last Revised: 07 Jan 2021
Mikhail Anufriev, Andrea Deghi, Valentyn Panchenko and Paolo Pin
University of Technology Sydney (UTS), International Monetary Fund (IMF), UNSW Business School, Economics, University of New South Wales and Bocconi University - Department of Decision Sciences
Downloads 180 (314,345)
Citation 2

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Network formation, pairwise stable network, overnight market, interbank loans

4.

Wright Meets Markowitz: How Standard Portfolio Theory Changes When Assets Are Technologies Following Experience Curves

Number of pages: 43 Posted: 11 May 2017 Last Revised: 29 Aug 2018
University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, University of Oxford - Institute for New Economic Thinking at the Oxford Martin School, Università di Bologna, UNSW Business School, Economics, University of New South Wales and University of Oxford - Institute for New Economic Thinking at the Oxford Martin School
Downloads 170 (330,571)
Citation 6

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Experience curves, Technological change, Learning-by-doing, Portfolio theory, Technology investment, Markowitz portfolio

Estimation of a Scale-Free Network Formation Model

UNSW Business School Research Paper No. 2018-10
Number of pages: 40 Posted: 25 Jun 2018
Anton Kolotilin and Valentyn Panchenko
University of New South Wales (UNSW) and UNSW Business School, Economics, University of New South Wales
Downloads 81 (576,583)
Citation 2

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law of large numbers, consistency, degree distribution, scale-free network

6.

Now You See It, Now You Don’t: How to Make the Allais Paradox Appear, Disappear, or Reverse

UNSW Business School Research Paper No. 2015-14
Number of pages: 25 Posted: 06 Jul 2015
Pavlo R. Blavatskyy, Andreas Ortmann and Valentyn Panchenko
Montpellier Business School, UNSW Australia Business School, School of Economics and UNSW Business School, Economics, University of New South Wales
Downloads 149 (369,398)
Citation 4

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Decision under risk, the Allais Paradox, Common Consequence Effect, Expected Utility, Fanning‐out, Experimental Practices

7.

Connecting the Dots: Econometric Methods for Uncovering Networks with an Application to the Australian Financial Institutions

Journal of Banking and Finance, 61, S214-S255, 2015, CIFR Paper No. 54/2015
Number of pages: 37 Posted: 06 Feb 2015 Last Revised: 06 May 2016
Mikhail Anufriev and Valentyn Panchenko
University of Technology Sydney (UTS) and UNSW Business School, Economics, University of New South Wales
Downloads 134 (401,779)
Citation 14

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8.

Asset Price Dynamics with Heterogeneous Beliefs and Local Network Interactions

Journal of Economic Dynamics and Control, Forthcoming, doi:10.1016/j.jedc.2013.06.015, UNSW Australian School of Business Research Paper No. 2013-18
Number of pages: 46 Posted: 26 Jun 2013 Last Revised: 11 Apr 2023
Valentyn Panchenko, Sergiy Gerasymchuk and Oleg V. Pavlov
UNSW Business School, Economics, University of New South Wales, ING Group and Worcester Polytechnic Institute (WPI) - Department of Social Science & Policy Studies
Downloads 116 (448,296)
Citation 3

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asset pricing, local interactions, networks, random graph, small world, heterogeneous beliefs, price dynamics

9.

Synthetic Controls with Multiple Outcomes: Estimating the Effects of Non-Pharmaceutical Interventions in the COVID-19 Pandemic

UNSW Economics Working Paper. 2023-05
Number of pages: 36 Posted: 08 May 2023
Wei Tian, Seojeong Lee and Valentyn Panchenko
UNSW Australia Business School, School of Economics, Seoul National University and UNSW Business School, Economics, University of New South Wales
Downloads 87 (545,467)

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Synthetic control, Policy evaluation, Causal inference, Public health

10.

(Re-) Inventing the Traffic Light: Designing Recommendation Devices for Play of Strategic Games

Number of pages: 63 Posted: 25 May 2023
Mikhail Anufriev, John Duffy, Valentyn Panchenko and Benjamin Young
University of Technology Sydney (UTS), University of California, Irvine, UNSW Business School, Economics, University of New South Wales and University of Technology Sydney (UTS)
Downloads 72 (608,852)

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Mechanism Design, Recommendations, Correlated Equilibrium, Nash Equilibrium, Experimental Economics

11.

Learning in Two-Dimensional Beauty Contest Games: Theory and Evidence

UNSW Business School Research Paper Forthcoming
Number of pages: 88 Posted: 20 Jun 2019 Last Revised: 11 Sep 2021
Mikhail Anufriev, John Duffy and Valentyn Panchenko
University of Technology Sydney (UTS), University of California, Irvine and UNSW Business School, Economics, University of New South Wales
Downloads 66 (637,675)
Citation 3

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Beauty Contest, Learning, Stability, Simultaneous Equation Systems, Level-k theory, Cognitive hierarchy model, Experimental Economics

12.

A More Accurate Theory of Behavior in Continuous Double Auctions

Number of pages: 48 Posted: 19 Jul 2023
Simon Fraser University (SFU) - Department of Economics, Simon Fraser University (SFU), California Institute of Technology - Division of the Humanities and Social Sciences, University of Technology Sydney (UTS) and UNSW Business School, Economics, University of New South Wales
Downloads 44 (767,012)

Abstract:

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Learning, Continuous Double Auction, Market Experiment

13.

Individual Evolutionary Learning in Repeated Beauty Contest Games

UNSW Business School Research Paper Forthcoming
Number of pages: 38 Posted: 20 Dec 2023
Mikhail Anufriev, John Duffy and Valentyn Panchenko
University of Technology Sydney (UTS), University of California, Irvine and UNSW Business School, Economics, University of New South Wales
Downloads 14 (1,034,092)

Abstract:

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Beauty Contest Game, Learning, Evolutionary Dynamics, Testbed, Agent-based model

14.

Time-Varying Market Integration and Stock and Bond Return Concordance in Emerging Markets

Journal of Banking and Finance, Vol. 33, No. 6, pp. 1014-1021, 2009
Posted: 20 Nov 2008 Last Revised: 15 Jan 2011
Valentyn Panchenko and Eliza Wu
UNSW Business School, Economics, University of New South Wales and The University of Sydney - Business School

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Stock-bond comovement, Emerging market integration, Financial liberalization, Investibility